کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10140530 1646027 2019 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Measuring stock market resiliency with Discrete Fourier Transform for high frequency data
ترجمه فارسی عنوان
اندازه گیری انعطاف پذیری بازار سهام با تبدیل فوریه گسسته برای داده های فرکانس بالا
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
In this paper, we investigate market resiliency as one of the stock market liquidity dimensions. A new methodology for stock resiliency measurement based on Discrete Fourier Transform (DFT) for high-frequency intraday data is introduced. The known disadvantage of DFT is signal leakage. Therefore, the modified formula for resiliency proxy that decreases the signal leakage impact by filtering is utilized. Three alternative window functions are employed: (1) the Hamming window, (2) the Kaiser window, and (3) the SR785 Flat-Top window. Furthermore, there is provided statistical analysis of the results, including its significance and some additional properties. The findings of empirical experiments for real-data from the Warsaw Stock Exchange reveal that the results rather turn out to be robust to the choice of the window filter. Thus, the DFT approach might be considered an auspicious resiliency proxy with an intuitive base.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 513, 1 January 2019, Pages 248-256
نویسندگان
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